Returns of a strategy are the profit/loss your strategy makes when running on a market, however, that has nothing to do with how good your strategy can be because you might have made/lost money because of the underlying market itself going up/down.
If you want to asses performance of a strategy you should ideally benchmark it so the performance of some other strategy and see how it does relative to that. Returns Vs Market is a measure of the same.
That number reflects how your strategy would have had performed if instead of using it and trading actively you just bought and hodled the entire time.
So let's say your strategy returns are +4% and buy and hold in the same period gave you a -7% then
Returns over Market =Strategy Returns - (Buy and Hold Returns)
= +4 - (-7)
This is just one measure traders use. Another popular metric used is Sharpe ratio or % wins etc. On Mudrex there are 24 such parameters you can look at optimizing for.
Having said that. Positive returns is what you would always want.